Sadly a $5K power cord can make an astonishing improvement. A couple of direct lines can make a real improvement. As someone mentioned… it is additive. Each step need justify its cost in sound quality improvement.
I think most people start by upgrading power cords first. Even if you have previous experience with power cords, I think there is a natural desire to reinforce / rediscover why they are worth it. Once you realize / remember how big a difference they make… it is easier to do something that cannot be returned and stays with the house. I recently got equipment that used 20 amp plugs on the component side… so I had to buy all new ones… oh, Yeah, they can make a big difference. I am still experimenting with my amp power cord.
Direct lines make a big difference… standard gauge or better. Two lines are preferred… a 10 gauge (or go wild) for the amp, the other for the rest of the components. By the way even with a direct line… my system sounds better with my power conditioner than without.